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Windows Media Player Classic is a good choice- it's a standalone player, and I use it all the time. VLC is also a good choice. Perhaps that operate via different ports?
Edit: I already had the two you suggested, but they dont seem to have any options to change internet options - so they just fail to load the files...
If you haven't already, in WMP, try: Tools > Options > Network and select the "Use ports" box. Then enter ports that you think/know are unblocked, and see what happens.